Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem

被引：2
|
作者：
Matsypura, Dmytro [1 ]
Neo, Emily [1 ]
Prokhorov, Artem [1 ,2 ]
机构：
[1] Univ Sydney, Sch Business, Sydney, NSW 2006, Australia
[2] St Petersburg State Univ, St Petersburg 199034, Russia
来源：
ECONOMICS LETTERS | 2016年 / 149卷
基金：
俄罗斯科学基金会;
关键词：
Network flow problem; Copulas; DISTRIBUTIONS;
D O I：
10.1016/j.econlet.2016.10.034
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, which limit scalability of the problem. However, we show in dimensions as high as twenty that the new approach dominates the alternatives which usually require recursive estimation or full enumeration. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：131 / 134
页数：4
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